Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 4 | 4 | 3 |
| Score | 2.2 | 2.61 | 1.78 |
| Market Cap (Millions USD) | 6239.37 | 6000.05 | 5621.69 |
| Predicted Beta | 0.56 | 0.56 | 0.55 |
| Idiosyncratic Volatility | 0.84 | 0.89 | 0.92 |
Annualized return and volatility
| IUSV | |
|---|---|
| Annualized Return | 0.0740 |
| Annualized Std Dev | 0.1877 |
| Annualized Sharpe (Rf=0%) | 0.3940 |
Row
Daily Return Statistics
| IUSV | |
|---|---|
| Observations | 4960.0000 |
| NAs | 153.0000 |
| Minimum | -0.0961 |
| Quartile 1 | -0.0042 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0056 |
| Maximum | 0.1012 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0001 |
| Stdev | 0.0118 |
| Skewness | -0.1608 |
| Kurtosis | 9.7800 |
Downside Risk
| IUSV | |
|---|---|
| Semi Deviation | 0.0085 |
| Gain Deviation | 0.0086 |
| Loss Deviation | 0.0095 |
| Downside Deviation (MAR=210%) | 0.0132 |
| Downside Deviation (Rf=0%) | 0.0084 |
| Downside Deviation (0%) | 0.0084 |
| Maximum Drawdown | 0.6018 |
| Historical VaR (95%) | -0.0179 |
| Historical ES (95%) | -0.0289 |
| Modified VaR (95%) | -0.0173 |
| Modified ES (95%) | -0.0270 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2013-01-29 | -0.6018 | 1449 | 455 | 994 |
| 2001-05-23 | 2002-10-09 | 2003-12-18 | -0.3374 | 659 | 351 | 308 |
| 2018-01-29 | 2018-12-24 | 2019-04-23 | -0.1898 | 315 | 233 | 82 |
| 2015-06-24 | 2016-02-11 | 2016-06-08 | -0.1656 | 246 | 164 | 82 |
| 2001-02-13 | 2001-03-22 | 2001-05-16 | -0.1351 | 66 | 27 | 39 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IUSV | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | 0.0 | 0.0 | -0.4 | 0.7 | 0.0 | 0.3 |
| 2001 | 0.1 | -0.4 | 0.0 | 1.1 | 0.0 | 0.0 | 0.0 | 0.0 | -0.2 | 1.7 | 0.0 | 0.0 | 2.4 |
| 2002 | -0.7 | 1.5 | -0.5 | 0.7 | 0.0 | -2.2 | -2.2 | 0.0 | 3.2 | 2.3 | 0.0 | 0.0 | 2.0 |
| 2003 | 0.0 | 0.0 | 0.4 | -0.2 | 0.0 | 0.7 | -1.0 | 0.0 | 1.8 | 0.0 | 1.0 | 0.0 | 2.7 |
| 2004 | 0.0 | 1.0 | 0.4 | 0.0 | 0.0 | -0.9 | 0.0 | 0.5 | 1.6 | 0.5 | 1.1 | 0.0 | 4.2 |
| 2005 | 0.7 | 0.4 | -0.5 | 0.0 | 0.5 | 0.4 | 0.0 | 0.2 | 0.0 | -0.1 | 1.2 | 0.0 | 2.8 |
| 2006 | 0.2 | 1.1 | 0.0 | -0.4 | 1.4 | 0.0 | -0.2 | 0.4 | 0.0 | -0.7 | -0.2 | 0.0 | 1.4 |
| 2007 | 0.7 | -0.2 | 0.0 | 0.1 | 0.4 | 0.0 | 0.5 | 0.0 | 1.5 | -3.1 | 0.0 | 0.0 | -0.1 |
| 2008 | 1.9 | 0.0 | 3.8 | 1.8 | 0.0 | 0.4 | -0.1 | 0.0 | 0.5 | 0.0 | -9.6 | 0.0 | -1.9 |
| 2009 | 0.0 | 0.0 | 2.1 | 0.4 | 2.4 | 0.4 | 0.0 | -2.5 | -2.9 | 0.0 | 1.1 | 0.0 | 0.8 |
| 2010 | 1.4 | 1.0 | 0.9 | 0.0 | -2.4 | -0.5 | 0.0 | 3.1 | 0.5 | -0.2 | 2.1 | 0.0 | 6.1 |
| 2011 | 1.7 | -1.4 | 0.5 | 0.0 | -2.4 | 1.4 | -0.2 | -1.4 | 0.0 | -3.2 | -0.6 | 0.0 | -5.6 |
| 2012 | 1.3 | 0.6 | 0.0 | 0.8 | -2.5 | 0.0 | -0.5 | 0.0 | 0.3 | 1.1 | 0.0 | 0.0 | 1.1 |
| 2013 | 0.8 | 0.3 | -0.3 | -1.2 | 0.0 | 1.1 | 1.2 | 0.0 | 0.9 | 0.3 | 0.0 | 0.0 | 3.2 |
| 2014 | 0.0 | 0.0 | 0.6 | -0.1 | 0.0 | 0.6 | -0.5 | 0.0 | -1.4 | 0.0 | -0.5 | 0.0 | -1.3 |
| 2015 | 0.0 | 0.0 | -0.3 | 0.9 | -0.1 | 0.6 | 0.0 | -3.2 | 0.1 | 0.0 | 1.0 | 0.0 | -1.0 |
| 2016 | -0.3 | 2.3 | 0.4 | 0.0 | 0.2 | 0.4 | -0.7 | -0.1 | 0.0 | -0.6 | 0.1 | 0.0 | 1.7 |
| 2017 | -0.2 | 1.5 | 0.0 | 0.0 | 1.1 | 0.0 | 0.2 | 0.5 | 0.0 | 0.3 | -0.1 | 0.0 | 3.2 |
| 2018 | 0.1 | -1.1 | 0.0 | -0.2 | 0.7 | 0.0 | -0.6 | 0.0 | 0.4 | 1.0 | 0.0 | 0.0 | 0.3 |
| 2019 | 0.1 | 0.6 | 1.3 | -0.5 | 0.0 | 0.7 | -1.3 | 0.0 | -1.5 | 1.4 | 0.0 | 0.1 | 0.8 |
Row
Rolling Performance Chart
Snail Trail Chart
